Subject: VaR for COB 28th July 2000
From: [email-masked]
To: [email-masked], [email-masked], [email-masked], [email-masked]
Cc: [email-masked]
Date: Mon, 31 Jul 2000 12:45:00 -0700 (PDT)

Hi all,
I have run the VaR model for the positions at close fo business 28th of July. 
The model is attached below.

As a summary the results are as follows :

and as a comparison the previous days figures were :

This shows some increase in VaR for Aluminium, Copper and Lead. The prices 
for gold and cocoa beans have not been updated 
as we still do not have a live feed to Bloomberg/Reuters. I will be working 
on this with Cantekin and Andreas should also be able to 
provide some more historical data. 
Also, after having a discussion with Andreas here in London we should 
probably reduce the vol we are using for TC - we are taking the Cu price 
vol as a proxy which is a too high. However, assuming the the other 
assumptions we have made around the TC ( ie simulating a parallel shift in 
the curve and 
including no term structure to the price curve) the vol estimate is a 
conservative one.

Cheers
Kirstee